Functional inequalities for forward and backward diffusions
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Publication:2201508
DOI10.1214/20-EJP495zbMATH Open1459.60156arXiv1910.00504OpenAlexW3049742096MaRDI QIDQ2201508FDOQ2201508
Publication date: 29 September 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: In this article we derive Talagrand's inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward stochastic differential equations, and the value process of optimal stopping problems. The proofs do not make use of the Girsanov method, but of pathwise arguments. These are used to show that all our processes of interest are Lipschitz transformations of processes which are known to satisfy desired functional inequalities.
Full work available at URL: https://arxiv.org/abs/1910.00504
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stochastic differential equationbackward stochastic differential equationoptimal stoppingnon-smooth coefficientsconcentration of measureslogarithmic-Sobolev inequalityquadratic transportation inequality
Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (8)
- Transportation cost inequality for backward stochastic differential equations with mean reflection
- On Monte-Carlo methods in convex stochastic optimization
- Quadratic transportation inequalities for SDEs with measurable drift
- Backward propagation of chaos
- Intertwining relations for one-dimensional diffusions and application to functional inequalities
- Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions
- Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls
- Transportation cost inequalities for SDEs with irregular drifts
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